Contact Wal-Mart HR and get a copy. If you worked one day in 2020, they have sent a W-2 to the IRS. If you file without it, you are risking holding up your tax return for months. Your situation is very common - Wal-Mart can probably provide you a way to retrieve the document online. The IRS does not start accepting returns until the 12th so there is no reason to file early without that W-2. It will cause you more grief and delays in the long-run.
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